A geometric approach to portfolio optimization in models with transaction costs
✍ Scribed by Yuri Kabanov; Claudia Klüppelberg
- Publisher
- Springer-Verlag
- Year
- 2004
- Tongue
- English
- Weight
- 240 KB
- Volume
- 8
- Category
- Article
- ISSN
- 0949-2984
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In this paper, we present a realistic portfolio optimization problem which takes into account real characteristics of the portfolio which are disregarded in most optimization models. These are di!erent transaction costs, minimum transaction units and investor's current portfolio holding. In order to
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